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mvn_bregmancentroid_skl.m    59 lines (50 with data), 1.9 kB

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function [c] = mvn_bregmancentroid_skl(models, approx, lc, rc)
%MVN_BREGMANCENTROID_SKL Compute the symmetric Kullback-Leibler (KL) centroid given mvn models.
%
% [c] = MVN_BREGMANCENTROID_SKL(models) computes the SKL centroid
% for the given multivariate normals.
%
% [c] = MVN_BREGMANCENTROID_SKL(models, 1) computes the SKL centroid
% mid-point approximation for the given multivariate normals.
% (c) 2010-2011, Dominik Schnitzer, <dominik.schnitzer@ofai.at>
% http://www.ofai.at/~dominik.schnitzer/mvn
%
% This file is part of the MVN Octave/Matlab Toolbox
% MVN is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% MVN is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with MVN. If not, see <http://www.gnu.org/licenses/>.
c = [];
if (nargin < 3)
if (length(models) < 1)
return;
end
lc = mvn_bregmancentroid_kl_left(models);
rc = mvn_bregmancentroid_kl_right(models);
end
% compute the mid-point approximation if requested.
if ((nargin > 1) && (approx == 1))
c = mvn_bregmancentroid_geodesic(0.5, lc, rc);
return;
end
d = 0;
d1 = 1;
while ((d1 - d) > 0.00001)
d2 = 0.5 * (d + d1);
c = mvn_bregmancentroid_geodesic(d2, lc, rc);
bisector = mvn_div_kl(c, lc) - mvn_div_kl(rc, c);
if (bisector < 0)
d1 = d2;
else
d = d2;
end
end
end